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Optimal dividend strategies for a compound Poisson process under transaction costs and power utility. (English) Zbl 1262.91096
Summary: We characterize the value function of maximizing the total discounted utility of dividend payments for a compound Poisson insurance risk model when strictly positive transaction costs are included, leading to an impulse control problem. We illustrate that well known simple strategies can be optimal in the case of exponential claim amounts. Finally we develop a numerical procedure to deal with general claim amount distributions.

MSC:
91B30 Risk theory, insurance (MSC2010)
60K10 Applications of renewal theory (reliability, demand theory, etc.)
49N25 Impulsive optimal control problems
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